In [1]:
import matplotlib.pyplot as plt
import matplotlib.patches as mpatches
get_ipython().magic(u'matplotlib inline')
import numpy as np
import pandas as pd
import matplotlib.cm as cm
from scipy import stats
from pandasql import *

pd.set_option('display.max_columns', None)
pd.set_option('display.max_rows', None)
In [100]:
dataset=pd.read_csv('trades_count_regression_2016-11-18.txt', sep='\t')
dataset.head()
Out[100]:
ProductName Maturity Date TimeToMaturity DayOfTheWeek DayofMonth ProductType Day DayTradeTotal TradeTotBCTrans TradeTotLogTrans
0 6E 2016-06-13 2016-05-02 42 Mon 2 FX 1 105173 17.034718 11.563362
1 6E 2016-06-13 2016-05-03 41 Tue 3 FX 2 137646 17.598158 11.832440
2 6E 2016-06-13 2016-05-04 40 Wed 4 FX 3 135657 17.567433 11.817885
3 6E 2016-06-13 2016-05-05 39 Thu 5 FX 4 126798 17.425248 11.750351
4 6E 2016-06-13 2016-05-06 38 Fri 6 FX 5 147658 17.746765 11.902654
In [3]:
dataset.shape
Out[3]:
(8826, 11)
In [12]:
q='''select ProductType, ProductName, Date, Day, DayofMonth, sum(DayTradeTotal) DayTradeTotal 
    from dataset 
    group by ProductType, ProductName, Date, Day, DayofMonth;'''

df = sqldf(q, locals())
df.head()
Out[12]:
ProductType ProductName Date Day DayofMonth DayTradeTotal
0 Agr KE 2016-05-02 1 2 1668
1 Agr KE 2016-05-03 2 3 20603
2 Agr KE 2016-05-05 4 5 17434
3 Agr KE 2016-05-06 5 6 10559
4 Agr KE 2016-05-10 7 10 19680
In [13]:
df['TradeTotBCTrans']=stats.boxcox(df['DayTradeTotal'])[0]
df.head()
Out[13]:
ProductType ProductName Date Day DayofMonth DayTradeTotal TradeTotBCTrans
0 Agr KE 2016-05-02 1 2 1668 15.097688
1 Agr KE 2016-05-03 2 3 20603 26.485093
2 Agr KE 2016-05-05 4 5 17434 25.565271
3 Agr KE 2016-05-06 5 6 10559 22.958210
4 Agr KE 2016-05-10 7 10 19680 26.230011
In [261]:
plt.hist(df['DayTradeTotal']); plt.title("Original Trade Volume");
plt.savefig('strata_noMat_skewHist.png', bbox_inches='tight')
In [262]:
plt.hist(df['TradeTotBCTrans']); plt.title("Box Cox Transformed Trade Volume");
plt.savefig('strata_noMat_Hist.png', bbox_inches='tight')
In [275]:
trans=.7  #edgecolor='none'
plt.figure(figsize=(25, 10))

for j, i in enumerate(np.unique(df.ProductType)):
    subset=df.loc[df.ProductType==i]
    subset=subset.sort_values(by="Day")
    uCols=np.unique(subset.ProductName)
    labs=[np.unique(subset.ProductName).tolist().index(k) for k in subset.ProductName]
    plt.subplot(2,3,j+1);
    plt.subplots_adjust(hspace=.3);
    plt.subplots_adjust(wspace=.5);
    plt.scatter(subset[['Day']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
    plt.xlabel('Day'); plt.ylabel('Transformed Trade Volume');
    #plt.plot(subset[['Day']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
    plt.title(i);

    cust_hand=[]
    for j in range(len(uCols)):
        cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[j], alpha=trans), label=uCols[j]))
    plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)

plt.savefig('strata_day_noMat.png', bbox_inches='tight')
In [274]:
trans=.7  #edgecolor='none'
plt.figure(figsize=(22, 10))

for j, i in enumerate(np.unique(df.ProductType)):
    subset=df.loc[df.ProductType==i]
    subset=subset.sort_values(by="DayofMonth")
    uCols=np.unique(subset.ProductName)
    labs=[np.unique(subset.ProductName).tolist().index(k) for k in subset.ProductName]
    plt.subplot(2,3,j+1);
    plt.subplots_adjust(hspace=.3);
    plt.subplots_adjust(wspace=.5);
    plt.scatter(subset[['DayofMonth']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
    plt.xlabel('Day of Month'); plt.ylabel('Transformed Trade Volume');
    #plt.plot(subset[['DayofMonth']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
    plt.title(i);

    cust_hand=[]
    for j in range(len(uCols)):
        cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[j], alpha=trans), label=uCols[j]))
    plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)

plt.savefig('strata_day_of_mo_noMat.png', bbox_inches='tight')
In [237]:
import matplotlib.pyplot as plt
In [136]:
subset=dataset.loc[dataset.ProductType=='Agr']
subset.head()
Out[136]:
ProductName Maturity Date TimeToMaturity DayOfTheWeek DayofMonth ProductType Day DayTradeTotal TradeTotBCTrans TradeTotLogTrans
2834 KE 2016-05-13 2016-05-05 8 Thu 5 Agr 4 4 1.448814 1.386294
2835 KE 2016-05-13 2016-05-06 7 Fri 6 Agr 5 2 0.708548 0.693147
2836 KE 2016-05-13 2016-05-10 3 Tue 10 Agr 7 3 1.137636 1.098612
2837 KE 2016-07-14 2016-05-03 72 Tue 3 Agr 2 18106 13.577599 9.803999
2838 KE 2016-07-14 2016-05-05 70 Thu 5 Agr 4 14651 13.186857 9.592264
In [137]:
subset=subset.loc[subset.ProductName=='ZC']
subset.tail()
Out[137]:
ProductName Maturity Date TimeToMaturity DayOfTheWeek DayofMonth ProductType Day DayTradeTotal TradeTotBCTrans TradeTotLogTrans
6275 ZC 2017-05-12 2016-11-14 179 Mon 14 Agr 135 6044 11.608304 8.706821
6276 ZC 2017-05-12 2016-11-15 178 Tue 15 Agr 136 6582 11.756513 8.792094
6277 ZC 2017-05-12 2016-11-16 177 Wed 16 Agr 137 5963 11.584927 8.693329
6278 ZC 2017-05-12 2016-11-17 176 Thu 17 Agr 138 6675 11.780976 8.806124
6279 ZC 2017-05-12 2016-11-18 175 Fri 18 Agr 139 5650 11.491704 8.639411
In [83]:
len(np.unique(dataset.ProductName))
Out[83]:
22
In [273]:
#plots highlighting maturities?
trans=.5  #edgecolor='none'
plt.figure(figsize=(15, 50))

j=0
for i in np.unique(dataset.ProductType):
    subset0=dataset.loc[dataset.ProductType==i]
    for l in np.unique(subset0.ProductName):
        subset=subset0.loc[subset0.ProductName==l]
        subset=subset.sort_values(by="Day") #not needed since not line grapg
        j=j+1
        plt.subplot(12, 2, j); #np.ceil(len(np.unique(subset.Maturity))/3.0)
        plt.subplots_adjust(hspace=.5);
        plt.subplots_adjust(wspace=.5);
        labs=[np.unique(subset.Maturity).tolist().index(k) for k in subset.Maturity]
        plt.scatter(subset[['Day']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
        plt.xlabel('Day'); plt.ylabel('Transformed Trade Volume');
        #plt.plot(subset[['DayofMonth']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
        plt.title(l);
        
        uCols=np.unique(subset.Maturity)
        cust_hand=[]
        for m in range(len(uCols)):
            cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[m], alpha=trans), label=uCols[m]))
        plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)

plt.savefig('strata_day_Mat.png', bbox_inches='tight')
In [272]:
#plots highlighting maturities?
trans=.5  #edgecolor='none'
plt.figure(figsize=(15, 50))

j=0
for i in np.unique(dataset.ProductType):
    subset0=dataset.loc[dataset.ProductType==i]
    for l in np.unique(subset0.ProductName):
        subset=subset0.loc[subset0.ProductName==l]
        subset=subset.sort_values(by="DayofMonth") #not needed since not line grapg
        j=j+1
        plt.subplot(12, 2, j); #np.ceil(len(np.unique(subset.Maturity))/3.0)
        plt.subplots_adjust(hspace=.5);
        plt.subplots_adjust(wspace=.5);
        labs=[np.unique(subset.Maturity).tolist().index(k) for k in subset.Maturity]
        plt.scatter(subset[['DayofMonth']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
        plt.xlabel('Day of Month'); plt.ylabel('Transformed Trade Volume');
        #plt.plot(subset[['DayofMonth']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
        plt.title(l);
        
        uCols=np.unique(subset.Maturity)
        cust_hand=[]
        for m in range(len(uCols)):
            cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[m], alpha=trans), label=uCols[m]))
        plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)

plt.savefig('strata_dayOfMo_Mat.png', bbox_inches='tight')
In [271]:
#plots highlighting maturities?
trans=.5  #edgecolor='none'
plt.figure(figsize=(15, 50))

j=0
for i in np.unique(dataset.ProductType):
    subset0=dataset.loc[dataset.ProductType==i]
    for l in np.unique(subset0.ProductName):
        subset=subset0.loc[subset0.ProductName==l]
        subset=subset.sort_values(by="TimeToMaturity") #not needed since not line grapg
        j=j+1
        plt.subplot(12, 2, j); #np.ceil(len(np.unique(subset.Maturity))/3.0)
        plt.subplots_adjust(hspace=.5);
        plt.subplots_adjust(wspace=.5);
        labs=[np.unique(subset.Maturity).tolist().index(k) for k in subset.Maturity]
        plt.scatter(subset[['TimeToMaturity']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
        plt.xlabel('TimeToMaturity'); plt.ylabel('Transformed Trade Volume');
        #plt.plot(subset[['DayofMonth']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
        plt.title(l);
        
        uCols=np.unique(subset.Maturity)
        cust_hand=[]
        for m in range(len(uCols)):
            cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[m], alpha=trans), label=uCols[m]))
        plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)

plt.savefig('strata_timeToMat.png', bbox_inches='tight')
In [270]:
#plots highlighting maturities?
trans=.5  #edgecolor='none'
plt.figure(figsize=(15, 50))

j=0
for i in np.unique(dataset.ProductType):
    subset0=dataset.loc[dataset.ProductType==i]
    for l in np.unique(subset0.ProductName):
        subset=subset0.loc[subset0.ProductName==l]
        subset=subset.sort_values(by="TimeToMaturity") #not needed since not line grapg
        j=j+1
        plt.subplot(12, 2, j); #np.ceil(len(np.unique(subset.Maturity))/3.0)
        plt.subplots_adjust(hspace=.5);
        plt.subplots_adjust(wspace=.5);
        labs=[np.unique(subset.Maturity).tolist().index(k) for k in subset.Maturity]
        plt.scatter(subset[['TimeToMaturity']], subset[['TradeTotBCTrans']], c=labs, cmap=cm.rainbow, alpha=trans); 
        plt.xlabel('TimeToMaturity'); plt.ylabel('Transformed Trade Volume');
        #plt.plot(subset[['DayofMonth']], subset[['TradeTotBCTrans']], 'tab:gray', alpha=trans)
        plt.title(l);
        
        uCols=np.unique(subset.Maturity)
        cust_hand=[]
        for m in range(len(uCols)):
            cust_hand.append(mpatches.Patch(color=cm.rainbow(np.linspace(0, 1, len(uCols))[m], alpha=trans), label=uCols[m]))
        plt.legend(handles=cust_hand, bbox_to_anchor=(1.05, 1), loc=2, borderaxespad=0.)
        
    if i=="Agr":
        break

plt.savefig('strata_timeToMat2.png', bbox_inches='tight')
In [269]:
plt.figure(figsize=(30, 12))

for i, j in enumerate(np.unique(df.ProductType)):
    subset=df.loc[df.ProductType==j]
    plt.subplot(2, 3,i+1);
    plt.subplots_adjust(hspace=.3);
    plt.subplots_adjust(wspace=.2);
    plt.hist(subset['TradeTotBCTrans']); plt.title(j+" Transformed Trade Volume");

plt.savefig('strata_types_hist.png', bbox_inches='tight')
In [ ]: